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You
are absolutely correct, Fred. But you already knew that
much.
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That's
why I prefer to use percentages for commision. By doing so, I am
able to build in slippage. Since I am guaranteed to be filled at the
open price, it's easier for me to simply use 1% for commissions. If
I didn't have that ability (guaranteed open price), I would probably use 1 to 2%
since that would cover 0.2 to 0.5% commission and adequate (IMO)
slippage.
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<FONT face=Arial color=#0000ff
size=2>Forgetting about how difficult it would be to program, it would be ideal
(IMO) to be able to specify commission as dollars or percentage and
slippage in percentage terms. In the case of slippage, however, it
would be even better (again IMO) to be able to specify a different percentage
depending on the price. I think you would agree that lower priced
stocks are likely to have higher slippage.
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Since
we cannot forget about programming difficulty (and ability for users to be able
to drive the darn thing), I feel that using a percentage at least gives the user
the ability to be a little creative. I can look at my trades, for
instance, and determine the average price. I can then use a
commission/slippage rate that might apply to that average.
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<FONT face="Times New Roman"
size=2>-----Original Message-----From: Fred
[mailto:fctonetti@xxxxxxxxx]Sent: Thursday, June 19, 2003 3:47
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
PORTFOLIO TRADER v1.04IMHO from the individual
traders perspective, slippage is a more important issue than
commissions. For larger individual traders commissions are usually
either measured in fixed dollar amounts or in much smaller percentages
than 0.5% and as such can almost be ignored. Slippage however is a
different ball game and is not so easily ignored for stock traders.
--- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
<chuck_rademacher@x> wrote:> Thanks, Fred. That's
a very important feature to me. Nice to be greeted>
with such good news as I'm just getting out of bed.> > I see a
lot of people in these various Yahoo groups run backtests with
zero> commission. IMO, doing so can greatly favour a system that
may trade too> frequently. Obviously, it's a personal
thing. I always prefer to run> with realistic or
pessimistic commission/slippage charges.> -----Original
Message-----> From: Fred
[mailto:fctonetti@xxxx]> Sent: Thursday, June 19, 2003 9:09
AM> To: amibroker@xxxxxxxxxxxxxxx>
Subject: [amibroker] PORTFOLIO TRADER v1.04> >
> Added the ability to factor in commission and/or slippage
costs in> terms of dollars or percent.> >
> Yahoo! Groups
Sponsor> > > > Send BUG REPORTS to
bugs@xxxx> Send SUGGESTIONS to
suggest@xxxx>
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